topic Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS? in SAS Forecasting and Econometrics

Holt-Winters Damped Method for Timeseries Forecasting in SAS?

lukesirakos — Thu, 23 Jun 2016 14:09:19 GMT

Is there anyway to run a Holt-Winters Damped method in SAS? I was using this forecasting methodology in R and it was rather simple but I can't find a way to do it in SAS. Am I just missing something in the PROC ESM documentation or is it in another proc that I am not aware of?

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

udo_sas — Thu, 23 Jun 2016 18:48:03 GMT

Hello -

Have you looked at the MODEL=DAMPTREND option of the FORECAST statement in PROC ESM?

Equations can be found here: http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_tffordet_sect021.htm

Thanks,

Udo

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

lukesirakos — Thu, 23 Jun 2016 19:23:19 GMT

That is not the same thing, what I am looking for is the Holt-Winters method with multiplicative seasonality and a damped trend.

MODEL=WINTERS gives me the Holt-Winters multiplicative method but there is not a version for a damped trend.

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

udo_sas — Fri, 24 Jun 2016 14:11:26 GMT

Hello -

Correct, it's not the same thing.

We are working on adding these models in a later release.

Your best bet currently is to use SAS/IML I would think.

Thanks,

Udo

Re: Holt-Winters Damped Method for Timeseries Forecasting in SAS?

udo_sas — Fri, 24 Jun 2016 14:18:18 GMT

PS: I should have added: if you have access to SAS Forecast Server you will be able to incorporate R models as part of your workflow: http://blogs.sas.com/content/forecasting/2011/09/19/guest-blogger-udo-sglavo-on-including-r-models-in-sas-forecast-server-part-1-of-2/

If you don't have access to SAS Forecast Server, but SAS/IML and you'd like to run your R model in SAS, then check out: http://support.sas.com/documentation/cdl/en/imlug/68150/HTML/default/viewer.htm#imlug_r_toc.htm